相关论文: Some Contra-Arguments for the Use of Stable Distri…

Failure of the main argument for the use of heavy tailed distribution in Finance is given. More precisely, one cannot observe so many outliers for Cauchy or for symmetric stable distributions as we have in reality. keywords:outliers;…

Pareto distributions, and power laws in general, have demonstrated to be very useful models to describe very different phenomena, from physics to finance. In recent years, the econophysical literature has proposed a large amount of papers…

The purpose of this paper is to show that the use of heavy-tailed distributions in Financial problems is theoretically baseless and can lead to significant misunderstandings. The reason for this the authors see in an incorrect…

The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…

The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…

The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form $Pr(X>x) ~ x**(-alpha) for…

In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…

A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…

Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset…

Since the turn of the century, there has been increased interest in the application of heavy-tailed distributions, particularly stable distributions, to problems in physics and finance. Although, the tails of stable distributions provide a…

Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most…

In this paper, we pay our attention to geometric parameters and their applications in economics and finance. We discuss the multiplicative models in which a geometric mean and a geometric standard deviation are more natural than arithmetic…

We study the optimal decisions and equilibria of agents who aim to minimize their risks by allocating their positions over extremely heavy-tailed (i.e., infinite-mean) and possibly dependent losses. The loss distributions of our focus are…

We investigate the problem of wealth distribution from the viewpoint of asset exchange. Robust nature of Pareto's law across economies, ideologies and nations suggests that this could be an outcome of trading strategies. However, the simple…

The class of $\alpha$-stable distributions with a wide range of applications in economics, telecommunications, biology, applied, and theoretical physics. This is due to the fact that it possesses both the skewness and heavy tails. Since…

There are a number of mathematical formalisms of the term "outlier" in statistics, though there is no consensus on what the right notion ought to be. Accordingly, we try to give a consistent and robust definition for a specific type of…

Over the last few decades power law distributions have been suggested as forming generative mechanisms in a variety of disparate fields, such as, astrophysics, criminology and database curation. However, fitting these heavy tailed…

The L\'evy-stable distribution is the attractor of distributions which hold power laws with infinite variance. This distribution has been used in a variety of research areas, for example in economics it is used to model financial market…

Pareto distributions are widely used models in economics, finance and actuarial sciences. As a result, a number of goodness-of-fit tests have been proposed for these distributions in the literature. We provide an overview of the existing…

We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…